Collateralised debt obligations have largely gone under the radar since the 2007 financial meltdown, when their market collapsed. Nearly every attempt at explaining the cause of their failure pointe...

Performance and asset flows of securitised credit products have combined to make this group one of the most profitable for investors and hedge fund managers. But there are now signs of waning intere...

In the aftermath of the subprime crisis the importance of model risk has come to be understood, leading regulators to ask for model risk measurement and management in financial institutions. On the other...

For several years leading up to the outbreak of the financial crisis, growth in the use of arbitrage collateralized debt obligations (CDOs) was explosive. In this paper, we discuss potential sources of...

The global financial crisis of 2007-8 illustrated the shortcomings of several modeling approaches in a dramatic fashion. Chief among these shortcomings are the bond-like pricing of tranches of collateralized...

Correlation-dependent derivatives, such as asset-backed securities and collateralized debt obligations (CDOs), are common tools for offsetting credit risk. Factor models in the conditional independence...

Post-financial crisis structured credit has been in hiding: but 2013 has seen the re-emergence of the collateralised loan obligation (CLO) market, with yield-hungry Asian players demonstrating a str...

The objective of this paper is to help a bank originator of a collateralized debt obligation (CDO) to build a maximally profitable CDO. We consider an optimization framework for structuring CDOs. The objective...

In this issue of The Journal of Credit Risk we present three research papers and one technical report.
The issue's first research paper is "Bounds for rating override rates" by Dirk Tasche. This paper...

We propose a new quantization algorithm for the approximation of inhomogeneous random walks, which are essential for the valuation of collateralized debt obligation (CDO) tranches in latent factor models....

A quant at Citi has revived debate about the changing nature of the profession (www.risk.net/2417747). The scope is narrower, he claims; the job has been dumbed down, and today's quants are little more than programmers. Is he right?